La théorie des anticipations de la structure par terme : test à partir des titres publics français
AbstractThis paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the one obtained by Campbell and Shiller (1991) using US data. An approach based on stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is widely accepted when holding return is considered whereas it is systematically rejected when rollover return is considered.
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Bibliographic InfoPaper provided by Banque de France in its series Working papers with number 45.
Length: 20 pages
Date of creation: 1997
Date of revision:
Term structure of interest rates ; Expectations hypothesis ; Cointegration ; Error-correction model.;
Other versions of this item:
- Eric JONDEAU & Roland RICART, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annales d'Economie et de Statistique, ENSAE, issue 52, pages 1-22.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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- Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
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